I am having the same problem. I have a 4th gen time capsule, with an external USB drive. Every time I move to access the thing in Finder, I am challenged for the device password, which I keep entering, and I keep checking the box to allow the password to be remembered in keychain. It never does. The next time I want to access the drive - same thing - manual password entry.
You don't indicate what operating system that you might be running on your Mac......but it is likely High Sierra (10.13.x). Would that be correct?
If yes, High Sierra has added more security measures to the operating system, and you are seeing the results of a decision that Apple has made for you that you now want to be asked to enter the password for the Time Capsule drive or an attached external drive when you want to access the contents of the hard drive(s).
Your next question might be whether or not there is an option to override this new added security that Apple thinks you should have. The answer is "no" using normal Mac commands, but there might be a way to tell the Mac to do what you want using a custom Terminal command string.
I haven't found it.....but maybe one of the Terminal gurus has figured out a way to do this.
If you don't see another suggestion using Terminal on this thread, you will likely receive a faster and more informed answer if you post your question in the High Sierra support forum, which is linked below. That's where the Terminal gurus hang out.
macOS High Sierra